set-methods: Generic method to set the value of term(s) or parameter(s) of...
In wbreymann/FEMS: R Package for Financial Enterprise Modelling and Simulation

set	R Documentation

Generic method to set the value of term(s) or parameter(s) of an ACTUS object

Description

Implemented e.g. for ContractModel where set populates the value for specified contract term(s) or for RiskFactor implementations, ValuationModel, and whatever object of this package that is carrying parameters. Note that argument what has to refer to the exact names of the terms or parameters to populate. The values need to be of the respective data type, i.e. numeric, character, logical, etc. depending on the term to be set.

Allows to change certain elements of a portfolio. In particular, this is a convenience function to change the Reference Class's field values. Further, the method allows to assign a RiskFactorConnector to the portfolio, i.e. all contracts in the portfolio. See also the respective documentation in rActus.

A convenience-wrapper to change values of the fields of a PortfolioTree.

Usage

set(object, what, ...)

## S4 method for signature 'ContractType,ValuationEngine'
set(object, what)

## S4 method for signature 'ContractType,list'
set(object, what)

## S4 method for signature 'ContractType,RiskFactorConnector'
set(object, what)

## S4 method for signature 'YieldCurve,list'
set(object, what, ...)

## S4 method for signature 'EventSeries,list'
set(object, what)

## S4 method for signature 'Portfolio,list'
set(object, what)

## S4 method for signature 'Portfolio,RiskFactorConnector'
set(object, what, ...)

## S4 method for signature 'DynamicYieldCurve,missing'
set(object, what, ...)

## S4 method for signature 'DynamicYieldCurve,list'
set(object, what, ...)

## S4 method for signature 'ForeignExchangeRate,list'
set(object, what, ...)

## S4 method for signature 'MultiCurrencyDiscountingModel,list'
set(object, what, ...)

## S4 method for signature 'PortfolioTree,list'
set(object, what)

## S4 method for signature 'ReferenceIndex,list'
set(object, what, ...)

Arguments

`object`	A `PortfolioTree`-object
`what`	A list with names and values of fields to change
`...`

Examples

pam = Pam()
terms(pam) # get all term names
set(pam, what=list(NotionalPrincipal=1000,
                   DayCountConvention="A/AISDA",
                   InitialExchangeDate="2015-01-01T00"))
get(pam, what=c("NotionalPrincipal", "DayCountConvention", 
                   "InitialExchangeDate"))

# define analysis data
ad <- "2015-01-02T00"

# construct portfolio
data(BondPortfolio)
ptf <- Portfolio()
import(ptf,BondPortfolio, valuationEngines=TRUE)

# construct market model
yc <- YieldCurve()
tenors <- c("1W", "1M", "6M", "1Y", "2Y", "5Y")
rates <- c(0.001, 0.0015, 0.002, 0.01, 0.02, 0.03)
set(yc, what = list(
MarketObjectCode = "YC_EA_AAA",
Nodes = list(ReferenceDate = ad, 
Tenors = tenors, Rates = rates)))

cpi <- Index()
times <- c("2015-01-01T00", "2016-01-01T00", "2017-01-01T00", "2018-01-01T00",
"2019-01-01T00")
values <- c(100, 110, 120, 130, 140)
set(cpi, what=list(
MarketObjectCode = "IND_CPI_EA",
Data=list(Dates=times,Values=values)))

rf <- RFConn()
add(rf, list(yc, cpi))

# assign market model to portfolio
set(ptf, rf, valuationEngines=TRUE)

tree=Tree()
set(tree, what=list(leafs=list(L1=c(1001,1002),L2=c(1003,1004))))

wbreymann/FEMS documentation built on Dec. 8, 2022, 9:43 a.m.